Amber Quant Lab research
Overview / Strategies / Asset rotation
Baseline · family rotation

Asset rotation

Baseline  A well-known reference strategy. Not a candidate: it sets the bar new ideas must clear.

Validation Sharpe0.74train 0.57
Validation CAGR9.7%train 8.5%
Max drawdown-18.2%train -19.3%
Correlation to 60/400.45validation
Deflated Sharpe96%only 1 trial counted, so not yet discounted
PerformanceHow it works

Performance

Backtest after costs. Train is where the idea was developed; validation is where it was judged.

Growth of $1Asset rotation60/40SPY
trainvalidation$0.5$1$1.5$2.5$42008201020122014201620182020Asset rotationAsset rotation $3.6460/4060/40 $3.49SPYSPY $4.51
Drawdown from peakAsset rotation60/40
-30%-20%-10%0%Asset rotation-19% (Nov 2016)60/402008201020122014201620182020
Calendar-year returnsAsset rotation60/40
-20%0%20%2007 Asset rotation: +20.1%2007 60/40: +7.5%’072008 Asset rotation: +7.8%2008 60/40: -17.9%’082009 Asset rotation: +11.4%2009 60/40: +12.8%’092010 Asset rotation: +14.7%2010 60/40: +13.5%’102011 Asset rotation: +0.8%2011 60/40: +7.7%’112012 Asset rotation: +4.8%2012 60/40: +11.2%’122013 Asset rotation: +24.4%2013 60/40: +15.6%’132014 Asset rotation: +8.9%2014 60/40: +11.8%’142015 Asset rotation: -11.9%2015 60/40: +1.7%’152016 Asset rotation: +2.6%2016 60/40: +7.7%’162017 Asset rotation: +17.2%2017 60/40: +13.7%’172018 Asset rotation: -6.4%2018 60/40: -2.0%’182019 Asset rotation: +9.3%2019 60/40: +22.0%’192020 Asset rotation: +13.9%2020 60/40: +16.4%’202021 Asset rotation: +24.6%2021 60/40: +15.0%’21
MetricTrain 2007–15Validation 2016–21
CAGR8.5%9.7%
Volatility15.0%12.3%
Sharpe0.570.74
Sortino0.770.94
Max drawdown-19.3%-18.2%
Calmar0.440.53
Worst month-7.4%-7.9%
Months up56%67%
Turnover / yr5.6×6.8×
Avg gross exposure1.00×1.00×
Correlation to SPY0.360.38
Correlation to 60/400.390.45
Beta to SPY0.250.26

Average holdings

VNQUS real estate (REITs)14.7%
SPYUS large-cap equities14.0%
IWMUS small-cap equities12.0%
EEMEmerging-market equities11.3%
TLTUS Treasuries 20y+10.6%
GLDGold10.5%
EFADeveloped ex-US equities7.7%
DBCBroad commodities7.5%
IEFUS Treasuries 7–10y4.9%
LQDUS investment-grade corporates1.9%
HYGUS high-yield corporates1.9%
SHYUS Treasuries 1–3y1.8%
TIPUS inflation-protected Treasuries1.3%

How it works

Each month hold the top-N asset classes by blended 3/6/12-month momentum, but only those beating cash (absolute momentum); the rest sits in short Treasuries. Equal weight.

Why it should work. Relative strength across asset classes persists (Faber's tactical asset allocation; Antonacci's dual momentum). The absolute filter steps aside in bear markets.